Greek exposure

Vega impact: the Greek behind IV crush

Vega estimates how much an option's theoretical value changes for a one percentage-point change in implied volatility, holding other inputs constant.

Hypothetical example

An option priced at $4.20 has vega of 0.08. If IV drops 27 points after earnings, the first-order vega impact is 0.08 x -27 = -$2.16. A bullish call may need enough delta and gamma gain to overcome that loss.

Premium$4.20
Vega0.08
IV before75%
IV after48%
Estimated vega impact-$2.16

Why actual prices differ

Gamma changes delta as the stock moves, theta changes with time, skew can shift unevenly across strikes, and bid/ask spreads can make theoretical values hard to realize.

Primary reading: OIC implied volatility overview · OIC Vega guide · OIC volatility and Greeks · FINRA options basics and Greeks · SEC Investor Bulletin on options

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Related lessons and tools on this site

Start with the main guideImplied Volatility Crush CalculatorWhat Is IV Crush?The Earnings Volatility CycleLong Options and IV Crush RiskShort Premium and IV Crush: Risk Is Not GoneRule of 16 for Implied VolatilityIV Crush Examples and Scenario TableIV Crush Trade ChecklistImplied Volatility Crush FAQSources and Methodology for IV Crush
Reviewed/updated 2026-07-30 · SourcesMethodologyRisk disclosureCorrections

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